Sentiment during recessions∗

By Diego García. 2011

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Citations in the corpus

Textual Sentiment in Finance: A Survey of Methods and Models (2014, neutral): “Stock returns are found to predict textual sentiment by Tetlock (2007) and Garcia (2012), who use news stories as the information source.”
Intraday online investor sentiment and return patterns in the U.S. stock market (2017, methodology): “Whereas dictionary-based methods that use the HarvardIV dictionary or the Loughran and McDonald (2011) dictionary (LM hereafter) are widely used in the literature to measure sentiment in articles published in traditional media (Tetlock, 2007; Tetlock et al., 2008; Engelberg et al., 2012; Dougal et a”
Investor Attention and Stock Market Volatility (2015, background): “Second, we perform two tests that further sustain counter-cyclical attention and tend to reject the potential assumption that noise in the signals is counter-cyclical.”
Media Sentiment and IPO Underpricing (2017, unknown): “This methodology, widely used and tested in the literature (Tetlock, 2011; Dougal et al., 2012; Garcia, 2013), is based on searching inside a finan-”
Weather-Induced Mood, Institutional Investors, and Stock Returns (2015, background): “12 For examples, see Goel et al. (2005) for nonseasonal depression and Eastman et al.”
Can Facebook Predict Stock Market Activity (2013, methodology): “) In a recent paper, Garcia (2013) constructs a news media sentiment measure by counting the positive and negative words from two nancial columns from the New York Times.”
The importance of fear: investor sentiment and stock market returns (2017, unknown): “Keynes (1936) I. Introduction (Investor) sentiment is an elusive concept that has occupied the minds of academics and market participants since at least the conjuring of ‘animal spirits’ by Keynes (1936). Classical finance theory suggests that competition among rational investors leads to equilibriu”
Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models (2023, background): “One strand of this literature studies media sentiment and aggregate stock returns (e.g., Tetlock (2007), Garcia (2013), Calomiris and Mamaysky (2019)).”